Author

  • Henry De-Graft Acquah

    • University of Cape Coast, Cape Coast, Ghana
    • Ghana

Abstract

This paper introduces and applies the bootstrap method to compare the power of the test for asymmetry in the Granger and Lee (1989) and Von Cramon-Taubadel and Loy (1996) models. The results of the bootstrap simulations indicate that the power of the test for asymmetry depends on various conditions such as the bootstrap sample size, model complexity, difference in adjustment speeds and the amount of noise in the data generating process used in the application. The true model achieves greater power when compared with the complex model. With small bootstrap sample size or large noise, both models display low power in rejecting the (false) null hypothesis of symmetry.

Keywords

References

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How to Cite

Acquah, H. D.-G. (2013). Using Bootstrap Method to Evaluate the Power of Tests for Non-Linearity in Asymmetric Price Relationship. Journal of Economics and Behavioral Studies, 5(4), 237-241. https://doi.org/10.22610/jebs.v5i4.399

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Section

Research Paper

Published in

Vol. 5 No. 4 (2013) SME Digital Adoption, Policy & Macroeconomic Dynamics View issue contents

Published

2013-04-30

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